Similar Search Results

Why Hedge? - A Critical Review of Theory and Empirical Evidence -

Ammon, Norbert - 1998

Der Artikel gibt einen Literaturüberblick zur Fragestellung, warum Unternehmen Risikomanagement betreiben und …

Persistent link: https://www.econbiz.de/10010297586

Risk management with default-risky forwards

Korn, Olaf - 2008

This paper studies the impact of counter-party default risk of forward contracts on a firm's production and hedging decisions. Using a model of a risk-averse competitive firm under price uncertainty, it derives several fundamental results. If expected profits from forward contracts are zero, the...

Persistent link: https://www.econbiz.de/10010302529

Value at risk, bank equity and credit risk

Broll, Udo; Wahl, Jack E. - 2003

We study the implications of the value at risk concept for the bank's optimum amount of equity capital under credit risk. The market value of loans is risky and lognormally distributed. We show that the required equity capital depends upon managerial and market factors. Furthermore, the bank's...

Persistent link: https://www.econbiz.de/10010305454

Die Behandlung der operationellen Risiken nach Basel II: Ein Anreiz zur Verbesserung des Risikomanagements?

Rünger, Petra; Walther, Ursula - 2004

Risikomanagement der operationellen Risiken dürfte in Zukunft ein entscheidender Wettbewerbsfaktor sein. Im Rahmen der Neuregelung der … bankaufsichtsrechtlichen Vorgaben gemäß Basel II werden sowohl eine Eigenkapitalunterlegung als auch qualitative Vorgaben zum Risikomanagement … dieser Risikoklasse neu eingeführt. Erklärtes Ziel ist es, Anreize für ein verbessertes Risikomanagement zu setzen. Die …

Persistent link: https://www.econbiz.de/10010305656

On the Variation of Hedging Decisions in Daily Currency Risk Management

Bos, Charles S.; Mahieu, Ronald J.; van Dijk, Herman K. - 2001

Internationally operating firrns naturally face the decision whether or not to hedge the currencyrisk implied by foreign investments. In a recent paper, Bos, Mahieu and van Dijk (2000) evaluatethe returns from optimal and alternative currency hedging strategies, for a series of 7 models,using...

Persistent link: https://www.econbiz.de/10010325077

The impact of delivery risk on optimal production and futures hedging

Adam-Müller, Axel F. A.; Wong, Kit Pong - 2002

Multiple delivery specifications exist on nearly all commodity futures contracts. Sellers are typically allowed to choose among several grades of the underlying commodity. On the delivery day, the futures price converges to the spot price of the cheapest-to-deliver grade rather than to that of...

Persistent link: https://www.econbiz.de/10010324071

Management of FX settlement risk in Hungary (Report II): Payments and securities settlements

Tanai, Eszter - 2008

[...] The objective of this study is to analyse - relying on 2006 data - FX settlement risk that may arise in the domestic banking system under its current operations, and to chart the changes which took place after 2000, covering improvements and, if necessary, formulating (new) recommendations...

Persistent link: https://www.econbiz.de/10010322397

Climate stress testing

Acharya, Viral V.; Berner, Richard B.; Engle, Robert F.; … - 2023

We explore the design of climate stress tests to assess and manage macro-prudential risks from climate change in the financial sector. We review the climate stress scenarios currently employed by regulators, highlighting the need to (i) consider many transition risks as dynamic policy choices;...

Persistent link: https://www.econbiz.de/10014480558

International einheitliche Bankenaufsicht nach der Finanzmarktkrise

Hartmann-Wendels, Thomas - In: Leasing - Wissenschaft & Praxis 8 (2010) 1, pp. 53-66

Die Finanzmarktkrise hat Schwächen in der Bankenaufsicht deutlich werden lassen. Der Artikel befasst sich mit vier Ansatzpunkten für eine Weiterentwicklung der Bankenaufsicht: Benötigt wird eine stärker an Prinzipien orientierte Bankenaufsicht anstatt starrer Regeln für die...

Persistent link: https://www.econbiz.de/10010309670

The Risk Management of Minimum Return Guarantees

Mahayni, Antje; Schlögl, Erik - 2003

We analyse contracts which pay out a guaranteed minimum rate of return and a fraction of a positive excess rate, which is specified on the basis of a benchmark portfolio. These contracts are closely related to unit--linked life--insurance/savings plan products and can be considered as...

Persistent link: https://www.econbiz.de/10010263089